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Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği

Year 2019, Volume: 48 Issue: 2, 218 - 247, 30.11.2019

Abstract

Bu çalışmanın amacı Türkiye için paranın dolaşım hızının durağanlığını test etmek ve paranın dolaşım hızını etkileyen değişkenleri belirlemektir. 1970-2017 yıllarını kapsayan dönem için veri seti yıllık frekansta oluşturulmakta; paranın dolaşım hızı, reel gelir, mevduat faiz oranı ve reel efektif döviz kuru değişkenler olarak kullanılmaktadır. Geleneksel ve doğrusal olmayan birim kök testleri, varyans oranı testleri ve kesirli bütünleşme testleri paranın dolaşım hızının durağan olmadığı gösterse de 2000’li yıllarda yaşanan ekonomik ve yapısal dönüşümler kırılma olarak alındığında birçok yapısal kırılma içeren birim kök testine göre paranın dolaşım hızının durağan olması dikkat çekmektedir. Ayrıca, doğrusal olmayan gecikmesi dağıtılmış otoregresif model (NARDL) ile mevduat faiz oranlarının kısa dönem asimetrisi ve reel efektif döviz kurunun uzun ve kısa dönem asimetrisi anlamlı bulunmakta, uzun dönemde mevduat faiz oranlarındaki ve reel efektif döviz kurlarındaki pozitif değişimlerin negatif değişimlere göre paranın dolaşım hızı üzerinde daha etkili olduğu sonucuna ulaşılmaktadır. Para talebinin gelir esnekliğinin pozitif, faiz oranı esnekliğinin negatif ve döviz kuru esnekliğinin pozitif olduğu belirlenmekte ve analiz sonuçları literatürde yapılan çalışmalarla örtüşmektedir. 

Supporting Institution

Yazarlar bu çalışma için finansal destek almamışlardır.

References

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Econometric Analysis of Velocity of Money and Money Demand Function: The Case of Turkey

Year 2019, Volume: 48 Issue: 2, 218 - 247, 30.11.2019

Abstract

This study aims to test the stationarity of the velocity of money for Turkey and to determine the variables affecting the velocity of money. The annual data set covering the period from 1970 to 2017 contains the velocity of money, real income, deposit interest rate and real effective exchange rate variables. Although traditional and nonlinear unit root tests, variance ratio tests and fractional integration tests show that the velocity of money is not stationary, it is noteworthy that many of the structural breakpoint unit root tests’ results support its stationarity taking into account the economic and structural transformations experienced in the 2000s. In addition, with the nonlinear autoregressive distributed lag model (NARDL), the short-term asymmetry of deposit interest rates and the long and short-term asymmetry of the real effective exchange rate are significant. The positive changes in deposit interest rates and real effective exchange rates over the long-term are more effective on the velocity of money than negative changes. The income, interest rate and exchange rate elasticity of money are respectively positive, negative and positive, and the results coincide with the studies in the literature. 

References

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  • Algan, N. ve Gencer, S. (2011). Türkiye’de para talebi fonksiyonun modellenmesi. Çukurova Üniversitesi Sosyal Bilimler Enstitüsü Dergisi, 20(1), 195-212.
  • Alsamara, M., & Mrabet, Z. (2019). Asymmetric impacts of foreign exchange rate on the demand for money in turkey: New evidence from nonlinear ARDL. International Economics and Economic Policy, 16(2), 335-356.
  • Apergis, N., & Cooray, A. (2015). Asymmetric ınterest rate pass-through in the us, the uk and australia: new evidence from selected individual banks. Journal of Macroeconomics, 45, 155-172.
  • Arize, A. C., Malindretos, J., & Shwiff, S. S. (1999). Structural breaks, cointegration, and speed of adjustment evidence from 12 LDCs money demand. International Review of Economics & Finance, 8(4), 399-420.
  • Atgür, M. ve Altay, N. O. (2015). Enflasyon hedeflemesi sürecinde para talebi istikrarının ardl modeli yaklaşımı ile analizi: Türkiye ve Endonezya örneği. Eskişehir Osmangazi Üniversitesi İİBF Dergisi, 10(1), 79-97.
  • Bahmani-Oskooee, M., & Gelan, A. (2009). How stable is the demand for money in African countries. Journal of Economic Studies, 36(3), 216-235.
  • Bahmani-Oskooee, M., & Gelan, A. (2019). Asymmetric effects of exchange rate changes on the demand for money in Africa. Applied Economics, 51(31), 3365-3375.
  • Bahmani-Oskooee, M., Halicioglu, F., & Bahmani, S. (2017). Do exchange rate changes have symmetric or asymmetric effects on the demand for money in Turkey? Applied Economics, 49(42), 4261-4270.
  • Bahmani-Oskooee, M., & Karacal, M. (2006). The demand for money in Turkey and currency substitution. Applied Economics Letters, 13(10), 635-642.
  • Ball, L. (2012). Short-run money demand. Journal of Monetary Economics, 59(7), 622-633.
  • Ball, R. J. (2017). Inflation and the Theory of Money. London: Routledge.
  • Basher, S., Fachin, S. (2012). Investigating Long-Run Demand for Broad Money in the Gulf Arab Countries, DSS Empirical Economics and Econometrics, Working Papers Series, DSS-E3 WP 2012/6, La Spienza University.
  • Baunto, A. L. Bordes, C. Maveyraud, S., & Rous P. (2011). Money Growth and Velocity with Structural Breaks: Evidence from the Philippines. Université Paris1 Panthéon-Sorbonne, 18, 71-81.
  • Beckmann, J., Belke, A., & Kühl, M. (2011). The Dollar-Euro exchange rate and macroeconomic fundamentals: a time-varying coefficient approach. Review of World Economics, 147(1), 11-40.
  • Belke, A. H., & Czudaj, R. (2010). Is Euro area money demand stable? cointegrated var versus single equation techniques. Ruhr Economic Paper, 171, 1-45. Belongia, M. T., & Ireland, P. N. (2015). Interest rates and money in the measurement of monetary policy. Journal of Business & Economic Statistics, 33(2), 255-269.
  • Bussiere, M. (2013). Exchange rate pass‐through to trade prices: The role of nonlinearities and asymmetries. Oxford Bulletin of Economics and Statistics, 75(5), 731-758.
  • Cho, H. C., & Ramirez, M. D. (2016). Money demand in Korea: A cointegration analysis, 1973-2014. Business and Economic Research, 6(1), 96.
  • Chow, K.V., & Denning, K.C. (1993). A simple multiple variance Ratio Test. Journal of Econometrics, 58(3): 385–401.
  • Chuliá, H., Martens, M., & Van Dijk, D. (2010). Asymmetric effects of federal funds target rate changes on S&P100 stock returns, volatilities and correlations. Journal of Banking & Finance, 34(4), 834-839.
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  • Dagher, J. C., & Kovanen, A. (2011). On the stability of money demand in ghana: a bounds testing approach. IMF Working Papers, 1-18.
  • Darıcı, B., Taşçı, H. M. ve Erbaykal, E. (2009). Ters para ikamesi süreci ve döviz kuru oynaklığı Türkiye örneği. Dogus University Journal, 10(1), 102-117.
  • Delatte, A. L., & López-Villavicencio, A. (2012). Asymmetric exchange rate pass-through: Evidence from major countries. Journal of Macroeconomics, 34(3), 833-844.
  • Dickey, D. A., & Fuller, W. A. (1981). Likelihood Ratio statistics for autoregressive time series with a unit root. Econometrica: Journal of the Econometric Society, 49(4), 1057-1072.
  • Dreger, C., & Wolters, J. (2015). Unconventional monetary policy and money demand. Journal of Macroeconomics, 46, 40-54.
  • Dülger, F. (2002). Income velocity of money (M2): The case of Turkey, 1986-2000. Cash Conversion Cycle, Cash Management and Profitability: An Empirical Study on the ISE Traded Companies, 6(22), 33.
  • Elliott, G., Rothenberg, T., & Stock, J. H. (1996). Efficient tests for an autoregressive unit root. Econometrica, 64(4), 813–836.
  • Fisher, I. (1911). “ The Equation of exchange,” 1896-1910. The American Economic Review, 1(2), 296-305.
  • Foresti, P., & Napolitano, O. (2013). Modelling long-run money demand: A panel data analysis on nine developed economies. Applied Financial Economics, 23(22), 1707-1719.
  • Frenkel, J. A. (2010). Exchange rates and international macroeconomics. Chicago: University of Chicago Press.
  • Friedman, M. (1959). The demand for money: Some theoretical and empirical results. Journal of Political Economy, 67(4), 327-351.
  • Friedman, M., & Schwartz, A. J. (1963). A monetary history of the US 1867-1960. Princeton: Princeton University Press.
  • Fuller, W. A. (1976). Introduction to statistical time series. Wiley: New York.
  • Gencer, S., Arisoy, I. (2013). Türkiye’de uzun dönem geniş (M2Y) Para talebinin tahmini: zamana göre değişen katsayılar yönteminden bulgular. Ege Akademik Bakış Dergisi, 13(4), 515-526.
  • Geweke J., Porter-Hudak, S. (1983). The estimation and application of long memory time series models. Journal of Time Series Analysis, 4(4), 221–238.
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There are 101 citations in total.

Details

Primary Language Turkish
Journal Section Articles
Authors

Ufuk Can 0000-0002-5398-5769

Zeynep Gizem Can This is me 0000-0002-2852-4995

Süleyman Değirmen 0000-0001-8750-652X

Publication Date November 30, 2019
Submission Date December 29, 2018
Published in Issue Year 2019 Volume: 48 Issue: 2

Cite

APA Can, U., Can, Z. G., & Değirmen, S. (2019). Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği. Istanbul Business Research, 48(2), 218-247.
AMA Can U, Can ZG, Değirmen S. Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği. IBR. November 2019;48(2):218-247.
Chicago Can, Ufuk, Zeynep Gizem Can, and Süleyman Değirmen. “Paranın Dolaşım Hızının Ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği”. Istanbul Business Research 48, no. 2 (November 2019): 218-47.
EndNote Can U, Can ZG, Değirmen S (November 1, 2019) Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği. Istanbul Business Research 48 2 218–247.
IEEE U. Can, Z. G. Can, and S. Değirmen, “Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği”, IBR, vol. 48, no. 2, pp. 218–247, 2019.
ISNAD Can, Ufuk et al. “Paranın Dolaşım Hızının Ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği”. Istanbul Business Research 48/2 (November 2019), 218-247.
JAMA Can U, Can ZG, Değirmen S. Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği. IBR. 2019;48:218–247.
MLA Can, Ufuk et al. “Paranın Dolaşım Hızının Ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği”. Istanbul Business Research, vol. 48, no. 2, 2019, pp. 218-47.
Vancouver Can U, Can ZG, Değirmen S. Paranın Dolaşım Hızının ve Para Talebi Fonksiyonunun Ekonometrik Analizi: Türkiye Örneği. IBR. 2019;48(2):218-47.